How efficiency shapes market impact
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large metaorders...
| Main Authors: | , , , |
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| Format: | Journal article |
| Udgivet: |
2011
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